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Monte-Carlo Simulator for Multisensor Change-point Detection

Monte-Carlo simulator for various CUSUM-like rules in multisensor sequential change detection setting.

This simulator was motivated by a decentralized multisensor sequential change detection problem, where a number of (possibly correlated) sensors monitor an environment in real time and transmit information to the fusion center. At some unknown time there is a change in an unknown subset of components of the underlying parameter vector; the goal is to detect the time of the change as soon as possible, while controlling the rate of false alarms.

Depends on aftermath.

Last edited Mar 5, 2016 at 8:47 PM by Gregory, version 3